Signs of improvement
April 6, 2020
–Stocks starting off the week with ESM up nearly 100 currently 2578. Big level above is 2635. While WTI is currently down 78 cents at 27.56, for the most part it seems to be absorbing the delay in the OPEC+ meeting due to renewed fissures between Russia and the Saudis. Rate futures are pretty much hovering around last week’s lows. Today the treasury auctions 3’s, followed by tens tomorrow and thirties on Wednesday in this holiday shortened week.
–Story on Reuters says xccy basis indicates that dollar funding costs have fallen dramatically for euro and sterling as the Fed’s fx swap lines have alleviated pressure. https://www.reuters.com/article/us-health-coronavirus-dollar-funding/dollar-borrowing-costs-drop-to-lowest-in-decade-in-fx-swap-markets-idUSKBN21O0TJ
–While eurodollar futures are down across the board, EDJ0 which expires to 3 month-libor this week is currently unch’d at 98.7325, suggesting a lower libor fix today. Additionally, the continued implosion of implied vol across rate contracts on Friday is a sign that normalcy may begin to return across markets. The atm TYM 139 straddle settled Friday at 2’07. On the previous Friday the atm 138.5^ was 2’31. 2EZ 9850 straddle settled Friday at 35, down from 39.5 the previous Friday.
